ACCIONA, S.A. AND SUBSIDIARIES (Consolidated Group ...

The most commonly used interest rate derivatives are interest rate swaps, the purpose of which is
to fix or limit fluctuations in the floating interest rates of hedged borrowings. The Group arranges
these financial derivatives mainly to hedge the cash flows on the debt arranged to finance wind
farms or solar facilities, in the case of the Energy division, and to finance the infrastructure
concessions operated mainly through jointly controlled entities and associates.
At 31 December 2011 and 2010, the fixed interest rates on these financial derivatives ranged from
6.00% to 1.385% for both years.
The amounts recognised by the Group are based on the market values of equivalent instruments at
the reporting date. Substantially all the interest rate swaps are designated and effective as cash
flow hedges and changes in the fair value thereof are deferred in equity.
Changes in the fair value of these instruments are recognised directly in equity (see Note 16-e).
The net deferred tax asset arising on recognition of these instruments amounted to EUR 127,191
thousand at 31 December 2011 (31 December 2010: EUR 55,700 thousand) and was recognised
in equity (see Note 23).
The methods and criteria applied by the Group to measure the fair value of these financial
instruments are described in Note 3.
The notional amounts of the liabilities hedged by interest rate hedges were as follows:
Interest rate hedges
Group companies
or jointly
controlled entities Associates Total
2011 2010
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Group companies
or jointly controlled
entities Associates Total
Notional amount arranged 3,544,969 597,930 4,142,899 2,670,256 339,048 3,009,304
The contractual notional amounts of the contracts entered into do not reflect the risk assumed by
the Group, since these amounts merely represent the basis on which the derivative settlement
calculations are made. The changes in the notional amounts of the financial instruments arranged
for the coming years are as follows:
Fuel hedges
Change in notional amounts
2012 2013 2014 2015 2016 2020
4,030,617 3,685,030 3,210,091 2,968,656 2,515,148 1,631,718
The Group uses financial derivatives to manage the risk of fuel purchase price fluctuations in
international markets. The Group manages this risk by arranging financial instruments to mitigate
fuel price fluctuations.